A CD player has a built in DAC. Otherwise it wouldn't be a CD player. A good way to look at it is digital is optional, but analog is not. We can't hear in digital, so in order for you to be able to listen to music when using a digital source, is to convert it to analog first. (DAC - Digital to Analog Converter).
In your case, the CD player converts the signal to analog before it goes to the amp. Since the Anthem doesn't have a DAC, you have no choice but to use the built in DAC on your CD player if you want to listen to music.
In your case, the CD player converts the signal to analog before it goes to the amp. Since the Anthem doesn't have a DAC, you have no choice but to use the built in DAC on your CD player if you want to listen to music.